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A DFA approach for assessing asymmetric correlations

Author

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  • Alvarez-Ramirez, Jose
  • Rodriguez, Eduardo
  • Carlos Echeverria, Juan

Abstract

Here we propose a method, based on detrended fluctuation analysis, to investigate asymmetric correlations in nonstationary time series. The aim is to show that, for a certain range of time scales, different scaling properties are found if signal trending is either positive and negative. We illustrate the method by selected examples from physics and finance.

Suggested Citation

  • Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Carlos Echeverria, Juan, 2009. "A DFA approach for assessing asymmetric correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2263-2270.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:12:p:2263-2270
    DOI: 10.1016/j.physa.2009.03.007
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    References listed on IDEAS

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    1. François Longin & Bruno Solnik, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
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    4. Anders Moberg & Dmitry M. Sonechkin & Karin Holmgren & Nina M. Datsenko & Wibjörn Karlén, 2005. "Highly variable Northern Hemisphere temperatures reconstructed from low- and high-resolution proxy data," Nature, Nature, vol. 433(7026), pages 613-617, February.
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